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A Small-Sample Comparison of Estimators in the EU-MGF Approach to Decision Making

Author

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  • Edward E. Gbur
  • Robert A. Collins

Abstract

Estimation of the moment-generating function lies at the core of the exponential utility—moment-generating function approach to decision making. The small sample performances of the nonparametric empirical moment-generating function and a parametric competitor have been examined under a variety of situations defined by the sample size, the level of risk aversion, and the degree to which the assumed parametric model approximates reality. Conditions under which each estimator would be preferred are obtained. Neither approach can be recommended unequivocally in all situations.

Suggested Citation

  • Edward E. Gbur & Robert A. Collins, 1989. "A Small-Sample Comparison of Estimators in the EU-MGF Approach to Decision Making," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(1), pages 202-210.
    • Handle: RePEc:oup:ajagec:v:71:y:1989:i:1:p:202-210.
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    File URL: http://hdl.handle.net/10.2307/1241789
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    Cited by:

    1. Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2019. "Statistical and economic evaluation of time series models for forecasting arrivals at call centers," Empirical Economics, Springer, vol. 57(3), pages 923-955, September.
    2. Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2011. "Forecast Evaluation in Call Centers: Combined Forecasts, Flexible Loss Functions and Economic Criteria," UNIMI - Research Papers in Economics, Business, and Statistics unimi-1109, Universitá degli Studi di Milano.
    3. Elamin H. Elbasha, 2005. "Risk aversion and uncertainty in cost‐effectiveness analysis: the expected‐utility, moment‐generating function approach," Health Economics, John Wiley & Sons, Ltd., vol. 14(5), pages 457-470, May.
    4. Andrea BASTIANIN & Marzio GALEOTTI & Matteo MANERA, 2011. "Forecast evaluation in call centers: combined forecasts, flexible loss functions and economic criteria," Departmental Working Papers 2011-08, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    5. Andrea Bastianin & Marzio Galeotti & Matteo Manera, 2011. "Forecast Evaluation in Call Centers: Combined Forecasts, Flexible Loss Functions and Economic Criteria," Working Papers 20110301, Università degli Studi di Milano-Bicocca, Dipartimento di Statistica.

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